I booted my yeeloong, login into gnome, open a terminal,
launch a sudo wvdial, insert my password.
Then I tried to launch
gksu /usr/sbin/synaptic
and it worked the first time!

I can confirm this behaviour.
It happened again.
After a normal boot, gnome, etc. I tried to launch
system -> administration -> login window
It didn't work.
I opened a shell, used sudo one time with a random command:
sudo wvdial
then I tried again to click on
system -> administration -> login window
and it worked.

I can confirm this: using sudo once in the terminal enables gksu and
su-to-root, both on the terminal and from the menu. They both give a
warning about the application being run as root without asking for a
password.